Testing the tail-dependence based on the radial component (Q1003303): Difference between revisions
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Revision as of 02:52, 5 March 2024
scientific article
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English | Testing the tail-dependence based on the radial component |
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Testing the tail-dependence based on the radial component (English)
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28 February 2009
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A test is proposed for testing the hypothesis \(H_0\) on the tail independence of bivariate random vector \((X,Y)\) components. \((X,Y)\) is assumed to belong to the domain of max-attraction of an extreme value distribution with reverse exponential margins. The test statistics is constructed by the application of the Neyman-Pearson approach to the limiting distribution \(F\) of \(X+Y\) conditioned on \(X+Y>C\) when \(C\to\infty\). (Note, that \(F(t)=t\) under \(H_0\) and \(F(t)=t^{1+\rho}\) under the alternative). Approximate maximum likelihood estimate for \(\rho\) is considered. The performance of the test is explored by simulations. An application to sea-waves data is presented.
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bivariate generalized Pareto distribution
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Pickands dependence function
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uniformly most powerful Neyman-Pearson test
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